statsmodels.regression.linear_model.GLSAR.iterative_fit

GLSAR.iterative_fit(maxiter=3, rtol=0.0001, **kwds)

Perform an iterative two-stage procedure to estimate a GLS model.

The model is assumed to have AR(p) errors, AR(p) parameters and regression coefficients are estimated iteratively.

Parameters:

maxiter : integer, optional

the number of iterations

rtol : float, optional

Relative tolerance between estimated coefficients to stop the estimation. Stops if

max(abs(last - current) / abs(last)) < rtol